D
Denny V
Often in the backtest, when you sell/close the Bidless Long Legs, the Trade Log shows $0.05 (SPX) or $0.01 (SPY).
However, this might not get filled in real life. Also, in the Automation, we have the
Ignore Bidless Longs on Trade Exit
.
Potentially, if Bid==0 and Ask==0.05 (or 0.01 for SPY), the backtester can ignore these Longs and show them as expired.
If the backtester shows them as Closed at Price==0, then it shouldn't take into account the Exit/SL slippages (otherwise it will bias the P/L, especially if there are hundreds of contracts).